diff options
| -rw-r--r-- | R/build_scenarios.R | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 08f34361..dd7d1b0a 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -125,7 +125,8 @@ reinvfixed <- 0.07 basecase.rollingmaturity <- 84 ##months
reinvlag <- 3 ##months
n.scenarios <- 100
-recov.adj <- 1
+recov.adj <- 0.925
+
for(j in seq_along(dealnames)){
load(file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"),
@@ -221,11 +222,11 @@ for(j in seq_along(dealnames)){ loanprices <- c(loanprices,
forwardportfolioprice(deal.portfolio, deal.datesmonthly[i],
min(deal.datesmonthly[i]+rollingmaturity*30, deal.data$maturity),
- "float", reinvspread-0.0075, 0.7))
+ "float", reinvspread, 0.7))
bondprices <- c(bondprices,
forwardportfolioprice(deal.portfolio, deal.datesmonthly[i],
min(deal.datesmonthly[i]+rollingmaturity*30, deal.data$maturity),
- "fixed", reinvfixed-0.0075, 0.4))
+ "fixed", reinvfixed, 0.4))
}
## reinvprices <- compute.reinvprices(df, forwards, cdrmonthly, recoverymonthly, reinvspread,
## reinvfixed, rollingmaturity, reinvlag)
|